Description: The speaker of this session will discuss some common difficulties one encounters when dealing with exotic equity linked derivatives. In particular, a study of a Monthly Sum Cap (MSC) will be presented. Pricing issues, along with dynamic hedging, as well as projections of MSC into the future will also be discussed. Time permitting, some aspects of historical performance will also be addressed

Description: The excess capacity that has triggered structural reinsurance market shifts has companies focusing on uninsured and underinsured exposures to tackle the issue.

Description: Joe Wurzburger, Staff Fellow at the SOA, shares his views and insights about the health care industry in general and the Health Section's role in particular.

Description: Read the November 2016 issue of Health Watch published by the Health Section. Newsletters provide practical information for the working actuary, articles on trends that impact sections and news about section activities.

Description: Results of the PBITT Working Group annual VA survey.

Description: This report considers a hybrid portfolio that combines life and general insurance aspects.

Description: This report studies the interrelationships between the general levels of unemployment in the economy and the sale and persistency of insurance products. The report explores whether insurance products have reduced sales and persistency as the level of unemployment increased in a given economic environment.

Description: Mr. Rallis will discuss trends in the market for risk transfer of defined benefit plans in the US. He will also address implications of increasing longevity.

Description: The IAA Risk Book provides a set of high quality reference materials for use in managing the uncertainty of insurer risks.

Description: This article presents the results of the survey interviews, examining best practices as well as those areas that still remain challenging.

Description: This publication is intended to serve as an in-depth primer on economic scenario generators. The first half of the publication provides more general information on the nature of economic scenario generators—what they are, how they evolved, how they address regulatory and business needs in the insurance and pension industries. It also addresses essential features of a good economic scenario generator, and provides some detailed guidance on important aspects of financial market model specification, model calibration and model validation considerations to assure that the ESG will produce simulation results that are relevant, sufficiently robust, and realistically reflect market dynamics. The second half of the publication provides technical discussion of some of the essential financial markets aspects of a comprehensive ESG. Description of arbitrage-free considerations, the role of risk-neutral scenarios, and default-free interest rate models are explored with some of the underlying mathematics necessary to understand these considerations. Final chapters provide some important considerations relating to corporate bond models and equity index models, and how these considerations may extend to international and global interactions.

Description: The objective of this article is to help indexed annuity writers understand the pricing practices and ALM strategies used by their peers in the industry, especially in light of the prevailing low interest rate environment and a possible rise in interest rates.

Description: Report summarizing the results of the 2015 PBITT UL with Secondary Guarantees Survey

Description: The Market Cost of Capital approach has emerged as the standard for estimating risk margins for insurers' fair value balance sheets. This paper takes some of the ideas developed for valuing life insurance liabilities and applies them to the problem of valuing credit risky bonds. The basic idea is that credit spreads should cover the cost a) best estimate defaults plus the cost of holding capital for b) contagion risk (e.g. a credit crunch) and c) parameter risk, this risk that the best estimate is wrong and must be revised. We argue that the margins required for parameter risk can capture liquidity issues. In addition, the models developed here allow the cost of capital rate itself to be a random variable which allows credit spreads to open and close stochastically. Finally, the paper argues that it is reasonable to include something like AA best estimate default rates and liquidity spreads when valuing insurance liabilities. The main rationale for doing so is the idea that there are elements of the total credit risk issue that can be hedged between the assets and liabilities.

Description: In most countries in the developed world and also in a number of other countries, the population is aging. What impact will a changing demographic structure have, if any, on economic factors such as growth and inflation? This question is of vital importance to actuaries who use demographic and economic projections in the pricing and valuation of products, design of risk management solutions, and in opinions regarding the sustainability of social programs. This research report, funded by the Society of Actuaries (SOA), provides background on research in this area and offers insights that may be of use to practicing actuaries.

Description: A review of product and sales trends for variable, indexed and fixed annuities against the current backdrop of low interest rates and record equity market valuations

Description: In this paper, the authors assess the value of a GSA-type annuity within a retiree's portfolio.

Description: Health Watch, Issue 79, December 2015, Health Watch

Description: Presentation given to the Chicago Actuarial Association in October 2015 on the activities of the Committee on Post Retirement Needs and Risks.

Description: PowerPoint slides of presentation given at Gerontological Society of America.

Description: The October/November 2015 edition of The Actuary magazine—the Society of Actuaries’ flagship publication.

Description: October issue of Taxing Times

Description: At the beginning of this year, Representative Dave Camp (R-MI) retired from the House of Representatives after 12 terms, the last two terms serving as Chairman of the Committee on Ways and Means. Chairman Camp has played a central role in the national conversation on tax reform, primarily through a series of discussion drafts addressing international tax reform, financial products tax reform, small business tax reform and, most recently, a comprehensive tax reform discussion draft that we explored in a special edition of TAXING TIMES last fall. Kristin Norberg, TAXING TIMES editor, recently sat down with Chairman Camp to talk about his career in the House, the development of the Tax Reform Act of 2014, and some of its potential impacts on the insurance industry.

Description: The objective of this report is to provide benchmarking information that will help companies address the needs of internal stakeholders in cost-effectively conducting and implementing an ORSA process. In order to obtain this benchmarking information, a cross-disciplinary survey was conducted to find out what insurance companies understand and expect from an ORSA, the effort required to complete an ORSA, and the benefits from doing so. This survey was undertaken on a global basis, with participants that included life, property and casualty (P&C), often referred to as "non-life" or "general" insurers in territories such as Europe, and health insurance companies in North America (the United States and Canada), Europe, and Asia.

Description: The authors of this report have identified three key corporate finance metrics and measures impacted by corporate pension plans that are increasingly being used by corporate decision-makers. The first is corporate leverage. The second is accounting adjustments made by rating agencies to income statements and cash flow statements. The third is the weighted average cost of capital (WACC) where it is felt that the calculation of the WACC from market data may be biased if corporate pension plans are ignored.

Description: The author explores the implications of the International Financial Reporting Standard (IFRS), both for companies that will need to report under this standard and for companies that will not need to report but will still be affected by its implementation.

Description: This report explores the impact on financial assets as baby boomers enter into retirement. The authors conducted a literature search and then a detailed analysis of two papers supporting the theory demographic factors can have an impact on asset prices.

Description: The objectives of this paper include an assessment of the basis of volatility of experience and financial results, considering the risks and uncertainties associated with long-term policies, especially LTCi. In so doing, it is observed that a properly determined provision for risk and uncertainty is needed in premiums and reserves. It then describes the approaches that can be taken to quantify such a provision in new and re-rated LTCi. The paper discusses possible mitigation approaches that have and should be taken, especially but not limited to the use of policy design features to enhance the alignment of interests of the LTC insurer and its policyholders. It also explores the relationship between historical and expected future risks and uncertainties specific to LTCi. It concludes by pointing out the pervasiveness of the uncertainties involved, the earlier underestimation of the uncertainties involved, although the actual degree of uncertainty may have decreased over time as relevant experience has been obtained. Effective management of LTCi demands incorporation of mitigation approaches in its product design and continuous monitoring of relevant experience.

Description: French language version of Risk Management, August 2014 newsletter.

Description: Complete issue of the August 2014 Risk Management newsletter.

Description: The August/September 2014 edition of The Actuary magazine—the Society of Actuaries’ flagship publication.

Description: In this article the editor previews the issue.

Description: An update from the ACLI staff to keep readers informed about the organization's work on tax issues affecting the life insurance industry.

Description: This report is a summary based on current actuarial practices around the development and use of policyholder behavior assumptions including the use of dynamic modeling approaches. The research team surveyed and evaluated current practices in the industry; and highlighted current thinking on modeling human behaviors outside the life insurance industry. This project was sponsored by the SOA’s Financial Reporting Section and the Committee on Life Insurance Research.

Description: This research report analyzes the risk associated with the use of models through the potential for model error.

Description: This article discusses the details of what happened in equity repo in 2013.

Description: The article summarizes recent regulatory discussions of interest to small insurance companies, primarily related to issues discussed at the NAIC.

Description: The Society of Actuaries Financial Reporting Section is pleased to make available a new report examining the International Standards Board’s (IASB) Re-Exposure draft, Insurance Contracts, issued in June 2013. Performed by Rodrigo Careaga, Tara Hansen, Asad Khalid, and Bruce Rosner of Ernst & Young LLP, this study illustrates differences in earnings emergence for new business projections between current US GAAP and the proposed standard for a sample of 12 products. Additionally, it shows the impact on earnings emergence of various sensitivity tests.

Description: This paper develops a pension product that can be offered in a defined contribution pension scheme as a deferred or immediate life annuity.

Description: The February/March 2014 edition of The Actuary magazine—the Society of Actuaries’ flagship publication.

Description: Compares how other industries (in this case, Fast Food) researches and tests new products. Provides examples of how the insurance industry can efficiently research and test new product concepts before going to market.

Description: AHIP commissioned the Menges Group to write this white paper on key pressures in the budgetary environment that stress the actuarial soundness of Medicaid rates. Though written by non-actuaries, this white paper thoroughly describes key professionalism topics that face Medicaid actuaries in their daily work.

Description: In this paper, the authors value three embedded guarantees in cash balance plans using option pricing fair valuation principles. Two of the guarantees are valued using a closed form adaptation of the Black-Scholes formula. The third guarantee is valued via a Monte-Carlo stochastic simulation of the risk- neutral interest rates process using a Hull-White interest rate model.

Description: Report summarizing the results of the 2013 PBITT UL with Secondary Guarantees Survey.

Description: The goal of this paper is to study how a full-range tail dependence copula would be useful in assessing tail risks in a regression setting.

Description: The December 2013/January 2014 edition of The Actuary magazine—the Society of Actuaries’ flagship publication.

Description: Readers are given an introduction to a PBA Implementation Guide for Life Products.

Description: This article discusses sessions from the product development section post symposium seminar on product development - beginning to end. Sessions included product specific topics like term, universal life with secondary guarantees, and indexed products. Panel discussions included inforce management and advanced modeling issues.

Description: This is a report examining the decision process to retire and views on managing assets after retirement. The study was designed specifically to examine those who were not forced to retire due to ill health or disability.

Description: A review of the major activities and accomplishments of the Smaller Insurance Company Section over the last year.

Description: Feature article summarizing the discussions of The Assumption Development and Governance Group (sponsored by the Financial Reporting and Product Development Sections)—a group formed in April to offer an opportunity for actuaries to participate in discussions around key topics and establish industry contacts in the field of assumptions.

Description: As part of its work, the PBITT Working Group issued its seventh survey to gather the range of assumptions actuaries use in pricing, reserving, and risk management of minimum guarantees on Variable Annuity products, such as death benefits, income benefits, withdrawal benefits and maturity benefits.

Description: RL Asset Liability Watch, July 2013 Resource for Pension Section members

Description: This project shows how to use agent-based models to simulate the behaviors of agents in complex health systems.

Description: With the credit interest rate floor of a cash balance plan—a simple type of option identified by the Project Oversight Group—as a model, this research uses three valuation and risk analysis approaches to explore the existing techniques to value embedded options on an economic basis.

Description: The April/May 2013 edition of The Actuary magazine—the Society of Actuaries’ flagship publication.

Description: The SOA’s research objective is to provide guidance to state exchange officials and administrators, federal officials and administrators, and actuaries assisting states and health plans. The goal of the project is to estimate the morbidity and/or cost for newly insured individuals in the individual market (and to some degree, the small group exchange) relative to the morbidity and/or cost for the current commercially insured population. This analysis will primarily focus on the individual, non-group market. In order to plan for the impact that these currently uninsured individuals will have on the health insurance markets, it will be important to understand their costs relative to the costs for people already enrolled, for whom many health insurers have experience and data.

Description: Report summarizing the results of the 2011 PBITT UL with Secondary Guarantees Survey

Description: This report examines the circumstances that lead to systemic risk and proposes a new definition.

Description: The goal of this paper is to examine similarities between value investing and enterprise risk management (ERM) methods.

Description: The goal of this paper is to examine similarities between value investing and enterprise risk management (ERM) methods.

Description: This study aimed to study primarily the impact of market performance on a pension plan’s ability to meet its obligations.

Description: The value-based ERM approach is a robust yet practical synthesis of enterprise risk management and value-based management, and has been used to help a range of companies – financial services companies, non-financial services companies, and non-corporate entities alike – successfully implement their ERM programs and integrate ERM into their decision-making processes.

Description: This abstract describes a presentation that highlights technological, demographic, cultural, criminal, regulatory, and global market changes that foreshadow threats to marketplace firms’ survival.

Description: This paper investigates the one-asset portfolios, mixed-asset portfolios, and a dynamic investment portfolio which allows a switch from an aggressive portfolio to a conservative one at middle ages.

Description: This abstract describes a paper that considers the Guaranteed Minimum Withdrawal Benefits (GMWB) variable annuity rider under a static withdrawal strategy but allowing for early surrenders.

Description: This paper establishes both first-order and second-order asymptotics for the Frechet, Weibull and Gumbel cases.

Description: This abstract describes a paper that proposes a stochastic population structure model based on the Leslie matrix, in which a Lee-Carter model framework is used to describe the future mortality and fertility changes.

Description: In this study, a network approach is taken to characterize the systemic risk of two nontraditional insurance industries: the bond insurer industry and the CDS market. These industries were chosen since traditional insurance industries do not generate significant systemic risk.

Description: The Committee on Finance Research is pleased to make available a research report summarizing the results of a survey exploring market risk practices at insurance companies.

Description: This is a research report summarizing results of premium persistency assumptions used by life insurers for flexible premium UL products.

Description: The Mortality Improvement Survey Subcommittee of the Society's Committee on Life Insurance Mortality & Underwriting Surveys has completed its report on the results of a survey to examine mortality improvement practices with respect to reinsurance pricing in both the US and Canada. A few questions were asked about functions other than pricing.

Description: The Required Minimum Distribution (“RMD”) Working Group of the Society of Actuaries’ Taxation Section has completed new research identifying considerations for actuaries and annuity insurers in determining the actuarial present value of additional benefits for computing required minimum distributions under a deferred annuity contract. The paper discusses types of benefits covered under Treasury Regulation Section 1.401 (a)(9)–6, Q&A–12 as well as possible assumptions and methods for calculating the actuarial present values of additional benefits provided under an annuity contract. The appendices show examples for a variety of additional benefit types. EXCEL spreadsheets for the appendices are also provided. The discussion presented in the paper and the examples are provided for educational purposes and are not to be viewed as an authoritative interpretation of Q&A–12.

Description: The American Academy of Actuaries and the Society of Actuaries (SOA) have joined resources to manage the economic scenario generators used in regulatory reserve and capital calculations.

Description: Owners of nonqualified annuity contracts, individuals under qualified retirement plans, and annuity issuers are left without any published guidance on when annuity payments can be used to satisfy the SEPP [Substantially Equal Periodic Payments] exceptions to the 10 percent penalty tax under sections 72q2D and 72t2Aiv. This article discusses that problem. The insurance industry requested guidance on this issue.8